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- W2079396808 abstract "Abstract Shiller has shown that the variance of the holding-period yield on long-term bonds may frequently exceed a bound implied by the rational expectations model of the term structure. This paper extends Shiller's variance inequality to allow for the possible presence of time-varying term premiums. The paper then explores the question of whether term premiums, or perhaps transactions costs, are likely to reverse prior findings of excess volatility." @default.
- W2079396808 created "2016-06-24" @default.
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- W2079396808 date "1983-09-01" @default.
- W2079396808 modified "2023-09-27" @default.
- W2079396808 title "On expectations, term premiums and the volatility of long-term interest rates" @default.
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- W2079396808 doi "https://doi.org/10.1016/0304-3932(83)90065-x" @default.
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